Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/70380
Authors: 
Deng, Xiaotie
Xu, Chunlei
Zhang, Shunming
Year of Publication: 
2000
Series/Report no.: 
Research Report, Department of Economics, University of Western Ontario 2000-13
Abstract: 
This paper studies arbitrage-free conditions for multiperiod asset pricing in frictional financial markets with proportional transaction costs. We consider the Euclidean space for weakly arbitrage-free security markets and strongly arbitrage-free security markets, and establish the weakly arbitrage-free pricing theorem and the strongly arbitrage-free pricing theorem.
Subjects: 
the first fundamental valuation theorems
frictional markets
weak arbitrage-freeness
strict arbitrage-freeness
arbitrage-free pricing theory
Document Type: 
Working Paper

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